TY - JOUR
T1 - Do Social Media Trump News? <em>The Relative Importance of Social Media and News Based Sentiment for Market Timing</em>
JF - The Journal of Portfolio Management
SP - 58
LP - 67
DO - 10.3905/jpm.2018.45.2.058
VL - 45
IS - 2
AU - Beckers, Stan
Y1 - 2018/12/31
UR - http://jpm.iijournals.com/content/45/2/58.abstract
N2 - The author uses a broad set of news and social media sources to infer sentiment about the global equity market. The author evaluates the contemporaneous and lagged relationship between the two sources and establishes how they inform each other. This study finds that lagged social media and news can help forecast next month’s global stock market return. However, adding social media information to news-based sources does on average not improve the results of a market timing investment strategy. Overall, the news-based equity fundamentals sentiment is the more consistent and reliable source for monthly timing of the MSCI World Index.
ER -